【摘要】 将经典的单期Kyle模型扩展到无限期,并假设私有信息有一个逐步揭示的过程,在这种更加接近现实的假设下,研究了线性均衡意义下知情交易者的交易策略。与经典Kyle模型相比,知情交易者的交易没有原来积极,信息优势的增加使得知情交易者的无条件期望收益增加。模型结果表明,如果知情交易者的信息有很好的隐藏性,那么私有信息揭示成公开信息需要的交易时期越长,市场的信息非对称性就越大,知情交易者就可以获得越多的收益。更多还原

【Abstract】 The classical Kyle model to the infinite horizon case is generalized. Based on this, The trading strategy of informed trader in the sense of linear equilibrium. Based on assumption that private information is disclosed to the market gradually. Compared with classical Kyle model, informed trader has less trading enthusiasm, and has more expected profits due to more information advantage.更多还原